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https://issues.apache.org/jira/browse/SPARK-9834?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=15315935#comment-15315935
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Debasish Das edited comment on SPARK-9834 at 6/5/16 4:49 PM:
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Do you have runtime comparisons that when features <= 4096, OLS using Normal
Equations is faster than BFGS ? I am extending OLS for sparse features and it
will be great if you can point to the runtime experiments you have done...
was (Author: debasish83):
Do you have runtime comparisons that when features <= 4096, OLS using Normal
Equations is faster than BFGS ?
> Normal equation solver for ordinary least squares
> -------------------------------------------------
>
> Key: SPARK-9834
> URL: https://issues.apache.org/jira/browse/SPARK-9834
> Project: Spark
> Issue Type: New Feature
> Components: ML
> Reporter: Xiangrui Meng
> Assignee: Xiangrui Meng
> Fix For: 1.6.0
>
>
> Add normal equation solver for ordinary least squares with not many features.
> The approach requires one pass to collect AtA and Atb, then solve the problem
> on driver. It works well when the problem is not very ill-conditioned and not
> having many columns. It also provides R-like summary statistics.
> We can hide this implementation under LinearRegression. It is triggered when
> there are no more than, e.g., 4096 features.
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